Realized Range-based Beta and Its Application in Chinese Stock Market

In recent years, research on high frequency data has been a new research field in financial econometrics. In this paper, we put forward realized range-based beta to estimate the beta by using high-frequency data. By using high-frequency data, we can fully take advantage of the intraday information of the stock market. We cast our analysis of realized range-based beta within the framework of realized range-based variance and realized range-based covariance. Realized range-based variance and realized range-based covariance are unbiased estimators of variance and covariance. Our approach makes the beta observable and model-free. Our empirical analysis is based on high frequency data from the Chinese stock market-Shenzhen stock market. We further explore the dynamic nature of realized range-based beta. Through the empirical analysis, we indicate that realized range-based beta of the stock listed in Shenzhen stock market is time-varying and persistent.